Execution Algos
We built smart order execution algos for token issuers, early investors, crypto asset managers.
Orcabay offers a variety of standard and prorietary execution algorithms. Our execution algos are used by professional asset managers and can be customized to specific client’s needs.
Execution bot works with multiple major crypto exchanges. Other exchanges can also be implemented. Execution bot is fully controlled by us and runs on our servers. We will need our client’s trading account API keys with trading permissions. Client will disable withdrawal permissions. This way the client is fully protected and has full control over account funds.
When to use execution algorithms?
The goal of execution algorithm is to acquire the best price for an asset especially for larger orders. We want to minimize market impact when executing large orders. We can achieve this with different execution algorithms. We can also spread larger order to different exchanges to access larger market liquidity.
Time weighted average price (TWAP) strategy breaks up large order and releases dynamically determined smaller chunks of the order to the market using evenly divided time slots between start and end time.
The aim is to execute the order close to the average price between the start and end times, thereby minimizing market impact.
Medium price risk. Getting approximately average price over a time period.
Low execution risk. Stretch out execution in a predictable manner.
Higher market impact. Market impact depends on the timeframe and the total execution amount. Large amount in short time frame means higher market impact.
Volume Weighted Average Price (VWAP) is a ratio generally used by institutional investors and mutual funds to make buys and sells so as not to disturb the market prices with large orders. It is the average price of an asset weighted against its trading volume.
The theory is that if the price of a buy trade is lower than the VWAP, it is a good trade. The opposite is true if the price is higher than the VWAP.
The aim is to execute the order close to the Volume Weighted Average Price (VWAP).
Low price risk. Guarantees volume weighted average price (VWAP).
Higher execution risk. Longer execution times in an up trending or down trending market.
Low market impact.
The Percent of Volume (PVOL) algorithm attempts to minimize market impact by participating in a constant, user-decided percentage of trading volume over a time interval. The intent of the PVOL algorithm is to set an upper bound on the trade’s market impact by maintaining a certain level of market participation. Setting a higher percent of volume will produce greater market impact but decrease price risk. Targeting a lower percent of volume will delay execution and increase price risk.
Until the trade order is fully filled, this algorithm continues sending partial orders, according to the defined volume participation ratio and according to the volume traded in the markets.
Medium price risk. Getting approximately average price over a time period.
High execution risk. Execution depends on total execution amount and user-decided volume percentage.
Low market impact. Market impact is controlled by user.